Usage: |
q = VaRqDG(a,par,N,K,dt)
|
Input: |
| a | scalar, representing the probability level
|
| par | a list defining the distribution; contains at least the
components:
theta - the constant term
delta - the linear term
lambda - the diagonal of the quadratic term
|
| N | scalar, modulus of the FFT used in the inversion, should have
a power of 2
|
| K | scalar, number of characteristic function evaluations to use,
K <= N
|
| dt | scalar, grid-size in t to use for the approximation of the
inversion integral
|
Output: |
| q | scalar, the a-quantile |